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    Issue #4414

    Hi guys -

    Re: Issue #4414,
    From
    NinjaTrader Version 7.0.1000.5 Production Release - May 13, 2011

    "Filter bid/ask price = 0 for any non-Index instrument"

    Where are the settings for this functionality located?

    #2
    Hello cgeorgan,

    Thank you for your post.

    There are no pubic settings for this functionally.

    This entry is for the NT core where if there is any non-index instruments showing a bid/ask of 0, NT will ignore.
    MatthewNinjaTrader Product Management

    Comment


      #3
      Hmm

      I don't think it's working - got a series of 6 zero fills on 6/16:

      From the log -
      Code:
      6/16/2011 12:38:02 PM|1|32|Order='eafcb59c9e2446a5ac5c7b91a10fa93e/SimGOLD' Name='Target Order' New state=PartFilled Instrument='GC 08-11' Action=BuyToCover Limit price=1530.4 Stop price=0 Quantity=4 Type=Limit Filled=1 Fill price=0 Error=NoError Native error=''
      6/16/2011 12:38:02 PM|1|32|Order='9ea6c7055a96468f86da80751dd66d9c/SimGOLD' Name='Stop Order' New state=PendingChange Instrument='GC 08-11' Action=BuyToCover Limit price=0 Stop price=1534.1 Quantity=3 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
      6/16/2011 12:38:02 PM|1|16|Execution='d68d6794df8b43ad8ce6ea7ae993c490' Instrument='GC 08-11' Account='SimGOLD' Exchange=Default Price=0 Quantity=1 Market position=Long Operation=Insert Order='eafcb59c9e2446a5ac5c7b91a10fa93e' Time='6/16/2011 12:38:02 PM'
      6/16/2011 12:38:02 PM|1|64|Instrument='GC 08-11' Account='SimGOLD' Avg price=1531.8 Quantity=7 Market position=Short Operation=Update Currency=Unknown
      6/16/2011 12:38:02 PM|1|32|Order='6f38156d519d40fe83365aed96bac089/SimGOLD' Name='Target Order' New state=PartFilled Instrument='GC 08-11' Action=BuyToCover Limit price=1530.3 Stop price=0 Quantity=4 Type=Limit Filled=1 Fill price=0 Error=NoError Native error=''
      6/16/2011 12:38:02 PM|1|32|Order='79ac27dd178f4445b114ce11b227a0e3/SimGOLD' Name='Stop Order' New state=PendingChange Instrument='GC 08-11' Action=BuyToCover Limit price=0 Stop price=1534.2 Quantity=3 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
      6/16/2011 12:38:02 PM|1|16|Execution='760b06c33b784055bd8f70f81908536a' Instrument='GC 08-11' Account='SimGOLD' Exchange=Default Price=0 Quantity=1 Market position=Long Operation=Insert Order='6f38156d519d40fe83365aed96bac089' Time='6/16/2011 12:38:02 PM'
      6/16/2011 12:38:02 PM|1|64|Instrument='GC 08-11' Account='SimGOLD' Avg price=1531.8 Quantity=6 Market position=Short Operation=Update Currency=Unknown
      6/16/2011 12:38:02 PM|1|32|Order='eafcb59c9e2446a5ac5c7b91a10fa93e/SimGOLD' Name='Target Order' New state=PartFilled Instrument='GC 08-11' Action=BuyToCover Limit price=1530.4 Stop price=0 Quantity=4 Type=Limit Filled=2 Fill price=0 Error=NoError Native error=''
      6/16/2011 12:38:02 PM|1|16|Execution='242fef50795a429ea8cf72d97c415d66' Instrument='GC 08-11' Account='SimGOLD' Exchange=Default Price=0 Quantity=1 Market position=Long Operation=Insert Order='eafcb59c9e2446a5ac5c7b91a10fa93e' Time='6/16/2011 12:38:02 PM'
      6/16/2011 12:38:02 PM|1|64|Instrument='GC 08-11' Account='SimGOLD' Avg price=1531.8 Quantity=5 Market position=Short Operation=Update Currency=Unknown
      6/16/2011 12:38:02 PM|1|32|Order='6f38156d519d40fe83365aed96bac089/SimGOLD' Name='Target Order' New state=PartFilled Instrument='GC 08-11' Action=BuyToCover Limit price=1530.3 Stop price=0 Quantity=4 Type=Limit Filled=2 Fill price=0 Error=NoError Native error=''
      6/16/2011 12:38:02 PM|1|16|Execution='17c2b20d4fd44450949808408bd7e37f' Instrument='GC 08-11' Account='SimGOLD' Exchange=Default Price=0 Quantity=1 Market position=Long Operation=Insert Order='6f38156d519d40fe83365aed96bac089' Time='6/16/2011 12:38:02 PM'
      6/16/2011 12:38:02 PM|1|64|Instrument='GC 08-11' Account='SimGOLD' Avg price=1531.8 Quantity=4 Market position=Short Operation=Update Currency=Unknown
      6/16/2011 12:38:02 PM|1|32|Order='eafcb59c9e2446a5ac5c7b91a10fa93e/SimGOLD' Name='Target Order' New state=PartFilled Instrument='GC 08-11' Action=BuyToCover Limit price=1530.4 Stop price=0 Quantity=4 Type=Limit Filled=3 Fill price=0 Error=NoError Native error=''
      6/16/2011 12:38:02 PM|1|16|Execution='7de124cbe12c4f76bb62242635ee0f28' Instrument='GC 08-11' Account='SimGOLD' Exchange=Default Price=0 Quantity=1 Market position=Long Operation=Insert Order='eafcb59c9e2446a5ac5c7b91a10fa93e' Time='6/16/2011 12:38:02 PM'
      6/16/2011 12:38:02 PM|1|64|Instrument='GC 08-11' Account='SimGOLD' Avg price=1531.8 Quantity=3 Market position=Short Operation=Update Currency=Unknown
      6/16/2011 12:38:02 PM|1|32|Order='6f38156d519d40fe83365aed96bac089/SimGOLD' Name='Target Order' New state=PartFilled Instrument='GC 08-11' Action=BuyToCover Limit price=1530.3 Stop price=0 Quantity=4 Type=Limit Filled=3 Fill price=0 Error=NoError Native error=''
      6/16/2011 12:38:02 PM|1|16|Execution='4eb2829910b34d6ca9533dd30ae83f9d' Instrument='GC 08-11' Account='SimGOLD' Exchange=Default Price=0 Quantity=1 Market position=Long Operation=Insert Order='6f38156d519d40fe83365aed96bac089' Time='6/16/2011 12:38:02 PM'
      6/16/2011 12:38:02 PM|1|64|Instrument='GC 08-11' Account='SimGOLD' Avg price=1531.8 Quantity=2 Market position=Short Operation=Update Currency=Unknown
      6/16/2011 12:38:02 PM|1|32|Order='79ac27dd178f4445b114ce11b227a0e3/SimGOLD' Name='Stop Order' New state=Accepted Instrument='GC 08-11' Action=BuyToCover Limit price=0 Stop price=1534.2 Quantity=3 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
      6/16/2011 12:38:02 PM|1|32|Order='79ac27dd178f4445b114ce11b227a0e3/SimGOLD' Name='Stop Order' New state=PendingChange Instrument='GC 08-11' Action=BuyToCover Limit price=0 Stop price=1534.2 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
      6/16/2011 12:38:02 PM|1|32|Order='9ea6c7055a96468f86da80751dd66d9c/SimGOLD' Name='Stop Order' New state=Accepted Instrument='GC 08-11' Action=BuyToCover Limit price=0 Stop price=1534.1 Quantity=3 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
      6/16/2011 12:38:02 PM|1|32|Order='9ea6c7055a96468f86da80751dd66d9c/SimGOLD' Name='Stop Order' New state=PendingChange Instrument='GC 08-11' Action=BuyToCover Limit price=0 Stop price=1534.1 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
      6/16/2011 12:38:02 PM|1|32|Order='9ea6c7055a96468f86da80751dd66d9c/SimGOLD' Name='Stop Order' New state=Accepted Instrument='GC 08-11' Action=BuyToCover Limit price=0 Stop price=1534.1 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
      6/16/2011 12:38:02 PM|1|32|Order='79ac27dd178f4445b114ce11b227a0e3/SimGOLD' Name='Stop Order' New state=Accepted Instrument='GC 08-11' Action=BuyToCover Limit price=0 Stop price=1534.2 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
      6/16/2011 12:38:07 PM|1|32|Order='eafcb59c9e2446a5ac5c7b91a10fa93e/SimGOLD' Name='Target Order' New state=Filled Instrument='GC 08-11' Action=BuyToCover Limit price=1530.4 Stop price=0 Quantity=4 Type=Limit Filled=4 Fill price=382.6 Error=NoError Native error=''
      6/16/2011 12:38:07 PM|1|32|Order='9ea6c7055a96468f86da80751dd66d9c/SimGOLD' Name='Stop Order' New state=PendingCancel Instrument='GC 08-11' Action=BuyToCover Limit price=0 Stop price=1534.1 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
      6/16/2011 12:38:07 PM|1|16|Execution='257ff101efd94eed999824dac1d546f0' Instrument='GC 08-11' Account='SimGOLD' Exchange=Default Price=1530.4 Quantity=1 Market position=Long Operation=Insert Order='eafcb59c9e2446a5ac5c7b91a10fa93e' Time='6/16/2011 12:38:07 PM'
      6/16/2011 12:38:07 PM|1|64|Instrument='GC 08-11' Account='SimGOLD' Avg price=1531.8 Quantity=1 Market position=Short Operation=Update Currency=Unknown
      6/16/2011 12:38:07 PM|1|32|Order='9ea6c7055a96468f86da80751dd66d9c/SimGOLD' Name='Stop Order' New state=Cancelled Instrument='GC 08-11' Action=BuyToCover Limit price=0 Stop price=1534.1 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
      6/16/2011 12:38:38 PM|1|32|Order='6f38156d519d40fe83365aed96bac089/SimGOLD' Name='Target Order' New state=Filled Instrument='GC 08-11' Action=BuyToCover Limit price=1530.3 Stop price=0 Quantity=4 Type=Limit Filled=4 Fill price=382.575 Error=NoError Native error=''
      6/16/2011 12:38:38 PM|1|32|Order='79ac27dd178f4445b114ce11b227a0e3/SimGOLD' Name='Stop Order' New state=PendingCancel Instrument='GC 08-11' Action=BuyToCover Limit price=0 Stop price=1534.2 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
      6/16/2011 12:38:38 PM|1|16|Execution='57794e1345cf4cd1925424314313138b' Instrument='GC 08-11' Account='SimGOLD' Exchange=Default Price=1530.3 Quantity=1 Market position=Long Operation=Insert Order='6f38156d519d40fe83365aed96bac089' Time='6/16/2011 12:38:38 PM'
      6/16/2011 12:38:38 PM|1|64|Instrument='GC 08-11' Account='SimGOLD' Avg price=1530.3 Quantity=0 Market position=Short Operation=Remove Currency=Unknown
      6/16/2011 12:38:39 PM|1|32|Order='79ac27dd178f4445b114ce11b227a0e3/SimGOLD' Name='Stop Order' New state=Cancelled Instrument='GC 08-11' Action=BuyToCover Limit price=0 Stop price=1534.2 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=NoError Native error=''
      I can't find any bids of zero, or last trade values of zero in my historical data manager for GC 08-11, as I could before...and, as you can see, only 6 of 8 fills were zero; the rest were legitimate (GC was around 1530.30 or so).

      Comment


        #4
        Hello,

        Thank you for reporting. Can you clarify that you are now on NT V7.0.1000.5 or 6?

        Did you experience this issue with previous version of NinjaTrader?

        When upgrading, did you run an over the top installation? Or did you uninstall the NT core program files before upgrading?
        MatthewNinjaTrader Product Management

        Comment


          #5
          Originally posted by NinjaTrader_Matthew View Post
          Hello,

          Thank you for reporting. Can you clarify that you are now on NT V7.0.1000.5 or 6?

          Did you experience this issue with previous version of NinjaTrader?

          When upgrading, did you run an over the top installation? Or did you uninstall the NT core program files before upgrading?
          Sure -

          I did experience this with prior issues of NT. I was one of the individuals who first reported the situation where bids/last trades of zero would trigger limit orders.

          I'm on V 7.0.1000.5 right now.

          It was an over the top installation -

          Comment


            #6
            Hello cgeorgan,

            Thank you for this information. I have not seen reports of this issue since release 5.

            I would suggest you do a complete reinstall of NinjaTrader to ensure this fix has been applied to your installation.

            Please follow the directions below to resolve repair your installation of NinjaTrader.

            1. Close all running applications.
            2. Then from the Start menu select --> Control Panel --> Add and Remove Programs.
            3. From Add and Remove Programs select NinjaTrader 7 and click Remove.
            4. Then you will need to clear your internet browser cache and history. You will clear this from within your internet browser (with IE, Tools-->Options, delete cookies and files, clear history).
            5. Reboot your machine.
            6. Once these steps are completed, download NT7 from the link below:
              Download

            Please let us know if you are able to get up and running after the reinstall.
            MatthewNinjaTrader Product Management

            Comment


              #7
              FYI guys -

              When you get these "zero fills," I've noticed another set of unwanted behavior by NT: If you're running a strategy in simulation, and you get a zero fill (that is, let's say you're short a NG contract, and it gets filled @ 0 for an approximate profit of $43,000), that $43,000 will be added to the cash value of the simulation account you've been using, and will show up on the "accounts" tab.

              Of course, that is expected - you'd like to have your PnL added to the cash value of an account...however, that value will remain under the "accounts" tab even when you remove the executions that caused the trade. Remove the executions, and you can get the correct account PnL reconciliation under the "Account Performance" tab, but the "Accounts" tab will not be right.

              --

              If you need a quick example, I set up a sim account with $100k in cash. Over a couple of weeks there was a $4k drawdown, so that the account cash value was $96k. Yesterday, I had the 0 fill in NG I mentioned, for a $44k profit. The account cash value, as well as my accumulated account PnL, thus showed $140k and $40k, respectively.

              I deleted the zero fill in NG and replaced it with the fill that would have occurred. The new cumulative PnL was correct (down less than $4k), but the cash value of the account under the "accounts" tab remains at $140k, even though it should be about $96.5k.

              Comment


                #8
                Hello cgeorgan,

                Thanks for the information.

                Have you recently repaired your database? It is good practice to run a DB repair after removing or editing any executions on your accounts.

                Please follow the instructions below to repair the NinjaTrader database.
                • Disconnect NinjaTrader from any open connections via File > Disconnect
                • From the NinjaTrader Control Center window select the menu Tools > Options
                • Select the "Data" tab
                • Press the "Repair DB" button
                • Press the "OK" button
                MatthewNinjaTrader Product Management

                Comment


                  #9
                  Originally posted by NinjaTrader_Matthew View Post
                  Hello cgeorgan,

                  Thanks for the information.

                  Have you recently repaired your database? It is good practice to run a DB repair after removing or editing any executions on your accounts.
                  Thanks; I'll give that a run.

                  In the meantime, what happens in a "database repair"? What's broken to begin with and what steps are taken to resolve that? Perhaps knowing this will help me avoid the need to perform repairs to begin with -

                  Comment


                    #10
                    Hello cgeorgan,

                    The database repair will reorganize and compact your database file.

                    If there were existing trades in the db that you have removed, there may still be references in the db. Doing the db repair will ensure these trades you had manually removed will not show up after you have removed them.
                    MatthewNinjaTrader Product Management

                    Comment

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